When I was abroad I picked up a pair of Ultimate Ears headphones which sound amazing. Andy put me on to them, and he was dead right about how good they are. Whilst they don't have a huge amount of bass they produce the clearest sound I've ever heard. I'm actually listening to tracks and hearing instruments that I've not noticed before. They are a bit pricey, but I do listen to music via headphones rather a lot, and so I reckon they were worth it. Unfortunately they also show up shortcomings in badly recorded or highly compressed music, and so I'm now having to get better copies of all my tunes. I'm putting them onto my new Zune, which has a nice big 80Gb disk and puts out really nice quality.
I really hope that Microsoft bring out the Zune in the UK. I'd love to be able to use their music service as well.